You can build megamachine in a guild 'Fabrica' or at home in a 'Laboratorio'.

You will obtain the 'Esquema: Laboratorio' with a quest (¿El plano de un laboratorio? -> Palacio de los Elementos) To build a 'fabrica' you need 2 megamachine : 'Grúa pesada' + 'Cabria'. Another player can craft it for you if you don't have a 'Laboratorio'